The correlations section measures the rolling correlation between the metrics you enter. A correlation of 1 means that the two metrics are in perfect correlation with each other; when one increases or decreases, the other follows in exactly the same way.
The Lag input will push the metric back by the number of periods you enter. For example, if you type a lag of 2 for a monthly indicator, the correlation calculation will look at that indicator 2 months prior to the other metric. This is helpful to see if an indicator "leads" another indicator.
The Number of Lookback Periods of the correlation is determined by the frequency of the metrics you chose. If you're correlating metrics with different frequencies, the lookback period is found using the metric with the shorter frequency. For example, if you're correlating a company's revenue (quarterly) to their stock price (daily), the lookback period will be 11 quarters.
- Daily/weekly: 120 periods
- monthly: 31 periods
- Quarterly: 11 periods
- Yearly: 3 periods
Need further details? Click below to view a brief tutorial on this feature.